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Investing Research Articles

2921 Research Articles

Simple Tests of an Asymmetric SMA Strategy

A reader asked: “Should the moving average crossover threshold be symmetrical, or does it make sense to try getting back in close to the bottom?” In other words, should we use a 10-month simple moving average (SMA10) for the typical long bull stock market and then switch to a 3-month average (SMA3) after crossing under… Keep Reading

Alternative Simplest Asset Class Momentum Strategies

In response to “Tech Premium Boost for Simplest Asset Class Momentum Strategy?”, a subscriber asked about testing the combination of Vanguard Growth Index Fund (VUG) and Vanguard Total Bond Market Index Fund (BND) in the “Simplest Asset Class ETF Momentum Strategy?”, which each month holds SPDR S&P 500 (SPY) or iShares Barclays 20+ Year Treasury… Keep Reading

Finding a Healthy Value Premium

Is there a way to restore confidence in a value premium? In their September 2020 paper entitled “Resurrecting the Value Premium”, David Blitz and Matthias Hanauer seek a reliable value premium via three adjustments to the conventional high-minus-low book-to-market ratio (HML) metric: Augment book-to-market ratio with three other value signals: earnings before interest, taxes, depreciation… Keep Reading

Stock Index Earnings-returns Lead-lag

A subscriber asked about the lead-lag relationship between S&P 500 earnings and S&P 500 Index returns. To investigate, we relate actual aggregate S&P 500 operating and as-reported earnings to S&P 500 Index returns at both quarterly and annual frequencies. Earnings forecasts are available well in advance of returns. Actual earnings releases for a quarter occur… Keep Reading

Weekly Summary of Research Findings: 10/19/20 – 10/23/20

Below is a weekly summary of our research findings for 10/19/20 through 10/23/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Sector Breadth as Market Return Indicator

Does breadth of equity sector performance predict overall stock market return? To investigate, we relate next-month stock market return to sector breadth (number of sectors with positive past returns) over lookback intervals ranging from 1 to 12 months. We consider the following nine sector exchange-traded funds (ETF) offered as Standard & Poor’s Depository Receipts (SPDR):… Keep Reading

Breaking Asset Ranking Systems into Pairs

Is there a better way to identify attractive and unattractive assets than simply ranking them? In the August 2020 version of their paper entitled “Decoding Systematic Relative Investing: A Pairs Approach”, Christian Goulding, Campbell Harvey and Alex Pickard examine a long-short strategy that periodically reforms a portfolio by evaluating all possible pairs within an asset… Keep Reading

Any Seasonality for Gold or Gold Miners?

Do gold and gold mining stocks exhibit exploitable seasonality? Using monthly closes for spot gold and the S&P 500 Index since December 1974, PHLX Gold/Silver Sector (XAU) since December 1983, AMEX Gold Bugs Index (HUI) since June 1996 and SPDR Gold Shares (GLD) since November 2004, all through September 2020, we find that:

Portfolio Reformation Schedule and Equity Factor Returns

Does equity factor portfolio reformation (rebalancing) schedule materially affect portfolio performance? In their February 2020 paper entitled “Rebalance Timing Luck: The (Dumb) Luck of Smart Beta”, Corey Hoffstein, Nathan Faber and Steven Braun measure rebalance timing luck (RTL) in returns for long-only portfolios of S&P 500 stocks selected based on: Value – trailing 12-month earnings… Keep Reading

GDX Instead of GLD in SACEMS?

Subscribers have asked whether substituting Market Vectors Gold Miners ETF (GDX) for SPDR Gold Shares (GLD) as a proxy for gold improves the performance of the Simple Asset Class ETF Momentum Strategy (SACEMS)? To check, we backtest the strategy twice using either GLD or GDX to represent gold, and then compare results. Using dividend-adjusted closing prices for SACEMS… Keep Reading